Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0417
Annualized Std Dev 0.1745
Annualized Sharpe (Rf=0%) -0.2391

Row

Daily Return Statistics

Close
Observations 4106.0000
NAs 1.0000
Minimum -0.0990
Quartile 1 -0.0037
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0042
Maximum 0.2266
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0110
Skewness 1.1414
Kurtosis 60.2977

Downside Risk

Close
Semi Deviation 0.0079
Gain Deviation 0.0088
Loss Deviation 0.0096
Downside Deviation (MAR=210%) 0.0127
Downside Deviation (Rf=0%) 0.0080
Downside Deviation (0%) 0.0080
Maximum Drawdown 0.6069
Historical VaR (95%) -0.0132
Historical ES (95%) -0.0266
Modified VaR (95%) -0.0010
Modified ES (95%) -0.0010
From Trough To Depth Length To Trough Recovery
2004-12-07 2020-03-23 NA -0.6069 4100 3849 NA
2004-11-26 2004-11-26 2004-11-30 -0.0005 3 1 2
2004-12-01 2004-12-01 2004-12-02 -0.0005 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA NA 0 0.7 0.6
2005 1.3 0.1 -0.3 0.1 0.3 -0.6 -0.9 0 0.1 -1.4 -0.1 1.2 -0.3
2006 -1.2 -0.5 0.3 -0.9 -1.2 0.1 -0.7 -0.3 1.1 -0.8 -0.9 0.1 -4.8
2007 -0.3 -0.7 -0.3 -0.4 -0.5 0.6 -2.7 1 -0.4 -0.3 0.7 0.2 -3
2008 1.4 -0.6 0.1 -0.6 -0.3 -1.6 0.3 0.2 1.3 0.2 -7.5 2.2 -5.1
2009 -0.7 0.2 0.8 -0.7 -0.4 -0.3 1.4 -0.5 -0.9 -1.8 -1 -0.1 -4.1
2010 -0.3 0.4 -0.3 -0.2 -3.1 -1.1 0.1 -0.2 -0.8 -1.8 0 2.3 -5
2011 -0.6 -1.8 0.2 1.3 -0.5 -0.2 0.6 -0.3 -1.2 -1.9 -2 0.4 -5.8
2012 -0.1 -0.4 0.3 -0.3 -1.9 -0.1 1.3 0.8 -2.3 -1 -0.1 0.2 -3.5
2013 -0.6 -1 -1.3 -0.3 -1.8 0.6 -2.4 0 -0.5 -1.3 0.9 -0.6 -8.2
2014 0.3 0.5 0.1 -0.3 0.5 -0.8 -1.3 0.4 -1.2 0 -2.1 1.1 -2.9
2015 -0.2 -0.1 -0.8 -0.9 -1 -1.4 0.2 -1.5 -1 0.5 -0.9 0.2 -6.8
2016 -0.5 0.7 -0.7 0.5 -0.1 -0.3 -0.4 -1.8 0.2 -0.5 -1.7 0.7 -4.1
2017 -0.9 -0.4 0.3 -0.2 -0.2 -0.3 -0.7 -0.3 0.7 -0.7 0.1 0.6 -2.1
2018 -0.3 -1.4 0.2 -0.3 -1.1 0.7 -1 -0.2 -0.8 -0.2 0.8 0.4 -3.3
2019 -0.6 -1.7 -0.7 -0.1 0 -0.4 0.7 -0.6 0.7 -0.1 -0.5 -0.4 -3.7
2020 1.7 -3 -2.6 -2.1 -2.4 -1.5 0.7 0.3 0.6 0 -0.7 0.1 -8.7
2021 -0.7 -0.1 0.6 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2004-11-24  20.0 SPY    118.  0.00240 -0.00120   0.0619   0.0661    0.122   0.0239   -0.170 GLD    45.0  0.0067   NA     
2 2004-11-26  20   SPY    118. -0.0008  -0.0033    0.0485   0.0619    0.117   0.0209   -0.170 GLD    45.3  0.0053    0.0205
3 2004-11-29  20   SPY    118. -0.0046   0.0033    0.0405   0.0659    0.108   0.0206   -0.173 GLD    45.4  0.00240   0.0138
4 2004-11-30  20.0 SPY    118.  0.0007  -0.0008    0.0414   0.061     0.108   0.0401   -0.165 GLD    45.1 -0.0062    0.0038
5 2004-12-01  20.0 SPY    119.  0.0114   0.0091    0.0504   0.0711    0.108   0.038    -0.161 GLD    45.4  0.00580   0.0141
6 2004-12-02  20.0 SPY    119.  0.0008   0.0075    0.0509   0.06      0.112   0.0463   -0.156 GLD    45.0 -0.0095   -0.0022
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart